The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Drew Creal; Siem Jan Koopman; Eric Zivot;
Publisher: Tinbergen Institute Amsterdam and Rotterdam
Subject: C11 | Bandpass filter | USA | C32 | Markov chain Monte Carlo | Dekompositionsverfahren | Konjunktur | E32 | Monte-Carlo-Methode | Zeitreihenanalyse | Trend-cycle decomposition | Unobserved components time series model | Markovscher Prozess | Bandpass filter; Markov chain Monte Carlo; Stochastic volatility; Trend-cycle decomposition; Unobserved components time series model | Stochastic volatility
jel: jel:E32 | jel:C11 | jel:C32
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincid... View more
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